Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0006 |
| Annualized Std Dev | 0.1357 |
| Annualized Sharpe (Rf=0%) | -0.0041 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5489.0000 |
| NAs | 1.0000 |
| Minimum | -0.1442 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0035 |
| Maximum | 0.1772 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0085 |
| Skewness | 0.3222 |
| Kurtosis | 62.0019 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0062 |
| Gain Deviation | 0.0067 |
| Loss Deviation | 0.0075 |
| Downside Deviation (MAR=210%) | 0.0113 |
| Downside Deviation (Rf=0%) | 0.0062 |
| Downside Deviation (0%) | 0.0062 |
| Maximum Drawdown | 0.5192 |
| Historical VaR (95%) | -0.0110 |
| Historical ES (95%) | -0.0204 |
| Modified VaR (95%) | -0.0025 |
| Modified ES (95%) | -0.0025 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-10 | 2008-10-10 | NA | -0.5192 | 4288 | 1157 | NA |
| 1999-07-01 | 2000-03-20 | 2001-10-05 | -0.2273 | 569 | 182 | 387 |
| 2001-11-07 | 2002-03-21 | 2002-09-09 | -0.1176 | 210 | 92 | 118 |
| 2003-06-18 | 2003-09-02 | 2004-01-22 | -0.1110 | 151 | 53 | 98 |
| 2002-10-07 | 2002-10-22 | 2003-05-22 | -0.0987 | 158 | 12 | 146 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | -0.4 | -0.4 | -0.4 | -0.4 | 0 | 0.9 | -2 | 0.5 | -2.2 |
| 2000 | 1.5 | -1 | 0 | 1.5 | 0.5 | 1 | 1 | -0.5 | 1.9 | 1 | 0.5 | -0.9 | 6.7 |
| 2001 | -0.3 | 0.1 | -0.5 | 0.2 | 0.5 | 1 | 0.5 | 0.4 | 0.1 | 0.6 | 0.5 | -0.5 | 2.6 |
| 2002 | -0.1 | 0.1 | 0.9 | 0.8 | 0.4 | -0.6 | 0.9 | 0.5 | 0.6 | 0.1 | -0.3 | 1.5 | 4.8 |
| 2003 | 0.1 | 0.1 | 0.6 | 0.2 | 0.1 | 0 | 0 | -0.3 | 0.9 | 0.1 | -0.3 | 0.2 | 1.9 |
| 2004 | 0.3 | 0.3 | -0.2 | -0.2 | -0.1 | 0.4 | 0.1 | -0.5 | -0.1 | 0.1 | 0.3 | 1.4 | 1.8 |
| 2005 | 0.3 | 0 | 1.1 | 0.1 | 0.2 | -0.1 | -0.3 | 0.1 | 0 | -0.1 | 0.8 | 0.3 | 2.2 |
| 2006 | -0.2 | -0.1 | 0.3 | 0.3 | 0.2 | 0.5 | 0.5 | 0.7 | 0 | 0.1 | 0.2 | 0.3 | 2.8 |
| 2007 | -0.3 | -0.1 | 0.5 | 0.3 | -0.2 | 0.3 | -0.4 | 0.2 | 0.3 | 0.3 | 0.3 | 0.5 | 1.8 |
| 2008 | -0.3 | -1.8 | -0.2 | 0.6 | 0.5 | 0.5 | 0.3 | -0.7 | 2.3 | -1.5 | -3.1 | 0.9 | -2.5 |
| 2009 | 0.1 | -0.8 | 0.1 | 0.6 | -0.8 | 0.3 | 0.1 | 0.5 | -0.3 | -1.2 | 0.6 | 0.2 | -0.6 |
| 2010 | 0.2 | 0.2 | 0.1 | -0.1 | -0.1 | -0.1 | 0.2 | 0.7 | 0.2 | 0.3 | -1.7 | 1.7 | 1.6 |
| 2011 | 0.7 | -0.1 | 0.2 | -0.3 | -0.4 | 1.2 | 1.3 | 1 | 0.4 | 0.4 | 0.5 | 0.6 | 5.6 |
| 2012 | 0.1 | 0.5 | 0.2 | 0.4 | 0.1 | -0.1 | 0.1 | 0.3 | 0.6 | 0 | 0.5 | 0.1 | 2.8 |
| 2013 | 0.1 | 0.5 | -0.8 | 0.5 | -1.7 | 0.9 | -1 | -0.4 | -0.6 | -0.7 | 0.3 | -0.2 | -2.9 |
| 2014 | 0.4 | 0.3 | -0.1 | 0.8 | -0.4 | -0.7 | -0.7 | 0.2 | 0.8 | -0.2 | 0.3 | 0.6 | 1.4 |
| 2015 | 0.7 | 0.3 | 0.3 | -0.6 | 1.2 | 0.4 | 0.7 | 0.2 | 0.2 | 0.3 | 0 | 0.8 | 4.6 |
| 2016 | 0.3 | 0.3 | 0.5 | -0.3 | 0.9 | 0.1 | 0.1 | 0.2 | -0.1 | -0.1 | -1.1 | 0.1 | 0.9 |
| 2017 | -0.3 | -0.2 | 0.1 | 0.1 | 0.1 | 0.1 | 0 | 0.1 | -0.1 | -0.1 | 0.5 | 0.1 | 0.5 |
| 2018 | -0.1 | -0.1 | 0.8 | 0.3 | 0.1 | 0 | -0.3 | 0.1 | -0.2 | 0 | 0.8 | 0.3 | 1.8 |
| 2019 | 0.5 | 0.1 | 0.1 | 1 | 0.2 | 0 | 0.1 | -0.1 | 0.3 | 0.1 | 0.3 | -0.1 | 2.4 |
| 2020 | 0.2 | -0.3 | -4.7 | 0.5 | 0.3 | 0.1 | 0.2 | 0.6 | 0.1 | -0.1 | 0.1 | 0.9 | -2.3 |
| 2021 | 0.3 | -0.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-05-26 15 SPY 130. 0.0111 -0.0331 -0.0496 0.0514 NA NA NA <NA> NA NA NA
2 1999-05-27 15.1 SPY 129. -0.0144 -0.0412 -0.0503 0.0405 NA NA NA <NA> NA NA NA
3 1999-05-28 15.1 SPY 130. 0.0128 -0.0236 -0.0308 0.0508 NA NA NA <NA> NA NA NA
4 1999-06-01 15 SPY 130. -0.0035 -0.0105 -0.0263 0.0565 NA NA NA <NA> NA NA NA
5 1999-06-02 15 SPY 130. 0.001 0.0068 -0.0428 0.0519 NA NA NA <NA> NA NA NA
6 1999-06-03 15 SPY 131. 0.0055 0.00120 -0.0236 0.0445 NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
